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  • Latent Variable Models for Stochastic Discount Factors 

    Garcia, René; Renault, Éric (Université de Montréal. Département de sciences économiques., 2000)
    Latent variable models in finance originate both from asset pricing theory and time series analysis. These two strands of literature appeal to two different concepts of latent structures, which are both useful to reduce the dimension of a statistical ...